IDEAS home Printed from https://ideas.repec.org/a/spr/compst/v38y2023i2d10.1007_s00180-022-01269-6.html
   My bibliography  Save this article

Doubly time-dependent Hawkes process and applications in failure sequence analysis

Author

Listed:
  • Lu-ning Zhang

    (China University of Petroleum)

  • Jian-wei Liu

    (China University of Petroleum)

  • Xin Zuo

    (China University of Petroleum)

Abstract

Since the Hawkes process is proposed in 1971, it has become increasingly widely applied in the field of event sequence analysis, such as social network analysis, electronic medical record analysis, click recommendation, financial analysis, and so on. Similar to the idea of electronic medical record analysis, we hope that the time-dependent Hawkes process can be used to analyze the failure of the compressor station system in the process of oil and gas gathering and transportation. However, at present, the existing Hawkes process model that has been proposed cannot meet our demands well. Most of the existing Hawkes process research so far assumes that the Hawkes process is time-independent, and its background intensity and trigger pattern will not change with time. In addition, recently some researchers put forward some Hawkes process models, while the trigger pattern is related to time, but the background intensity remains constant over time, or background intensity changes with time, and the trigger pattern remains unchanged, while we intend to analyze in between failure trigger pattern change and the trend of the background intensity changes over time. Therefore, we come up with a new doubly time-dependent Hawkes process model and its corresponding effective parameter learning method based on our requirements. We change the constant background intensity to time dependent background intensity, which obeys the Weibull distribution. Since background intensity and trigger pattern between events for the new proposed Hawkes process are all time dependent, we call it as the doubly time-dependent Hawkes process (DTDHP). To verify DTDHP, we carried out verification experiments in several artificial and real-world datasets and put forward some suggestions for the practical production of compressor stations.

Suggested Citation

  • Lu-ning Zhang & Jian-wei Liu & Xin Zuo, 2023. "Doubly time-dependent Hawkes process and applications in failure sequence analysis," Computational Statistics, Springer, vol. 38(2), pages 1057-1093, June.
    • Handle: RePEc:spr:compst:v:38:y:2023:i:2:d:10.1007_s00180-022-01269-6
    DOI: 10.1007/s00180-022-01269-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s00180-022-01269-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s00180-022-01269-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
    2. Tata Subba Rao & Granville Tunnicliffe Wilson & Michael Eichler & Rainer Dahlhaus & Johannes Dueck, 2017. "Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 225-242, March.
    3. Felipe Gerhard & Moritz Deger & Wilson Truccolo, 2017. "On the stability and dynamics of stochastic spiking neuron models: Nonlinear Hawkes process and point process GLMs," PLOS Computational Biology, Public Library of Science, vol. 13(2), pages 1-31, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
    2. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
    3. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Nov 2024.
    4. Bufalo, Michele & Ceci, Claudia & Orlando, Giuseppe, 2024. "Addressing the financial impact of natural disasters in the era of climate change," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    5. Pfaffelhuber, P. & Rotter, S. & Stiefel, J., 2022. "Mean-field limits for non-linear Hawkes processes with excitation and inhibition," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 57-78.
    6. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Oct 2018.
    7. Baichuan Yuan & Frederic P. Schoenberg & Andrea L. Bertozzi, 2021. "Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1127-1152, December.
    8. Peng Wu & Marcello Rambaldi & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2019. "Queue-reactive Hawkes models for the order flow," Papers 1901.08938, arXiv.org.
    9. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    10. Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
    11. Kyungsub Lee, 2024. "Discrete Hawkes process with flexible residual distribution and filtered historical simulation," Papers 2401.13890, arXiv.org.
    12. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
    13. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
    14. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
    15. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
    16. Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
    17. Nikolaus Graf von Luckner & Rüdiger Kiesel, 2021. "Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process," JRFM, MDPI, vol. 14(4), pages 1-31, April.
    18. Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
    19. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    20. Feng Shi & John Paul Broussard & G. Geoffrey Booth, 2025. "The complex nature of financial market microstructure: the case of a stock market crash," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 20(1), pages 1-40, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:38:y:2023:i:2:d:10.1007_s00180-022-01269-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.